Introduction to Stochastic Finance

Professor Jia-An Yan is a Professor of Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences. He is a Member of the Chinese Academy of Sciences and he has served as Editor-in-Chief of Acta Mathematicae Applicatae Sinica and members of several editorial boards. His main research area is stochastic analysis and mathematical finance.

• Foundation of Probability Theory and Discrete-time Martingales.- Portfolio Selection Theory in Discrete Time.- Financial Markets in Discrete Time.- Martingale Theory and Itˆo Stochastic Analysis.- The Black-Scholes Model and Its Modifications.- Pricing and Hedging of Exotic Options.- Itˆo Process and Diffusion Models.- Term Structure Models For Interest Rates.- Optimal Investment-Consumption Strategies in Diffusion Models.- Static Risk Measures.- Stochastic Calculus and Semimartingale Model.- Optimal Investment in Incomplete Markets.- Martingale Method for Utility Maximization.- Optimal Growth Portfoliosand Option Pricing

“The monograph is a wonderful text for graduate courses in mathematical finance and related fields. … The materials presented in the monograph are organised in a thoughtful way.” (Tak Kuen Siu, zbMATH 1420.91001, 2019)